A Mixed Dependence Between the Exchange Rate and International Crude Oil Returns: An Application of Dynamic Mixture Copula
Author:
Affiliation:
1. Department of Applied Economics, National Chiayi University, Chiayi City, Taiwan (R.O.C.)
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2016.1204909
Reference45 articles.
1. Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
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4. Central bank interventions and jumps in double long memory models of daily exchange rates
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